Encounters with Martingales in Stochastic Control

Cites Work

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On a Formula Concerning Stochastic Differentials
Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
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Jacobi's lectures on dynamics. Delivered at the University of Königsberg in the winter semester 1842--1843 and according to the notes prepared by C. W. Borchardt. Edited by A. Clebsch. Translated from the original German by K. Balagangadharan. Translation edited by Biswarup Banerjee
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Martingale conditions for the optimal control of continuous time stochastic systems
On a stochastic integral equation
On the Calculation of Mutual Information
Comments on the life and mathematical legacy of Wolfgang Doeblin
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Mixed control problem under partial observation
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Cited In (4)

Martingale approach to stochastic control with discretionary stopping
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Martingale approach to stochastic differential games of control and stopping
Optimal control of martingales in a radially symmetric environment

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